I am in the process of making Yellow Petes gunshop bigger (adding more hallways and buildings accessible starting by entering the metal door right by the table with thompson laying on it. However, when I add anything in and set col data to it and I enter the door, I am not seeing any of the interior of the new buildings, only empty space. (I am just inserting models of buildings into MWE, setting the correct parent and putting them into place. I also tried putting the building above ground in the parking lot right outside, and going into the game the interior is visible, so I am confused as to why it is disappearing underground.) Any thoughts on how to get around this?

Did you see them when in MWE, just not in game? This is, I think, because of the rendering. The map is kind of huge, and computers that time could not render the whole scene at once, this is why some parts are invisible if you are in special sectors.

I would try using the unlimited draw distance mod. This should fix the problem.

But because this causes the framerate to drop, You could manually edit that only for that area. This can be done as followed:

Select the parent object of all objects of the gun shop. You should see "render hint" in the "properties" window in MWE. Simply set all sectors to 0. (These values somehow handle the visible/invisible stuff..) Make a backup first also

This problem once accoured when I tried to access the backyard of Carlo's place, and all of a sudden, everything disappeared. As soon as I went back to the streets, everything was back to normal.

I have the same problem, and I couldn't solve it with Yellow Pete's shop (not that I bothered a lot to do it). In other areas, it was usually matter of turning the objects around (even if in MWE it seems like, for example, you put the painting on a wall and it is facing the corridor, it does not necessarily mean that in the game it will be in front of you; it can cause the object not to be seen in the game at all), checking again with the parent or making sure that the objects do not touch each other or do not go through a wall... Annoying stuff.
If you would play my mod, you can see for example that in the hotel mission all the new things are nicely showing, but 2 missions later the things in Yellow Pete's place show up only on specific camera angles.

Sectors are basically convex meshes. The game checks what sector the camera is currently in and renders objects in that sector as well as any sectors that are visible through portals in the current view frustum. Since there's no sector behind that door, the game switches back to rendering Primary sector. MWE doesn't do any sector/portal culling which is why you don't see these effects there.

To fix that you could either extend sector && hala to also include your new meshes or introduce additional sector(s) for them. I'm not sure whether there're any 4ds exporters/tools with sector support, though.

Alternatively you could also get rid of the interior sectors altogether and put everything in Primary sector. The drawback of this approach is however that the interior is then affected by exterior ambient lighting and sounds which might be undesirable.